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import argparse
# import sys
import time
import emcee
import matplotlib.pyplot as plt
import numpy as np
from numpy import inf
from bumps import initpop
from bumps.cli import load_best, load_model
from bumps.dream import stats, views
class Draw(object):
def __init__(self, logp, points, weights, labels, vars=None, integers=None):
self.logp = logp
self.weights = weights
self.points = points[:, vars] if vars else points
self.labels = [labels[v] for v in vars] if vars else labels
if integers is not None:
self.integers = integers[vars] if vars else integers
else:
self.integers = None
class State(object):
def __init__(self, draw, nwalkers, title):
# attributes of state that are used by bumps.dream.views
self.title = title
self.Nvar = draw.points.shape[-1]
self.labels = draw.labels
self._good_chains = slice(None, None)
# private attributes for fake state
chain_len = len(draw.logp) // nwalkers
self.Ngen = self.generation = chain_len
self._draw = draw
self._samples_per_iteration = nwalkers * np.arange(1, chain_len + 1, dtype="i")
self._logp = draw.logp.reshape((nwalkers, -1)).T
def logp(self, full=False):
return self._samples_per_iteration, self._logp
def chains(self):
return self._samples_per_iteration, self._points, self._logp
def draw(self): # , portion=1, vars=None, selection=None):
return self._draw
def walk(problem, burn=100, steps=400, ntemps=30, maxtemp=None, dtemp=3.0, npop=10, nthin=1, init="eps", state=None):
log_dtemp = np.log(dtemp) if maxtemp is None else np.log(maxtemp) / (ntemps - 1)
betas = np.exp(-log_dtemp * np.arange(ntemps))
# betas = (np.linspace(ntemps, 1, ntemps)/ntemps)**5
p0 = problem.getp()
dim = len(p0)
nwalkers = npop * dim
bounds = problem.bounds()
log_prior = lambda p: 0 if ((p >= bounds[0]) & (p <= bounds[1])).all() else -inf
log_likelihood = lambda p: -problem.nllf(p)
sampler = emcee.PTSampler(
ntemps=ntemps,
nwalkers=nwalkers,
dim=dim,
logl=log_likelihood,
logp=log_prior,
betas=betas,
)
# initial population
if state is None:
pop = initpop.generate(problem, init=init, pop=npop * ntemps)
# lnprob, lnlike = None, None
else:
logp, samples = state
pop = samples[:, :, -1, :]
# lnprob, lnlike = logp[:,:,-1], logp[:,:,-1]
p = pop.reshape(ntemps, nwalkers, -1)
iteration = 0
interval = 5
next_t = time.time() + interval
# Burn-in
if burn:
print("=== burn ===")
for p, lnprob, lnlike in sampler.sample(
p,
# lnprob0=lnprob, lnlike0=lnlike,
iterations=burn,
storechain=False,
):
t = time.time()
if t >= next_t:
print("burn", iteration, "of", burn, -np.max(lnlike) / problem.dof)
next_t = t + interval
iteration += 1
elif steps:
# TODO: why can't we set lnprob, lnlike from saved state?
for p, lnprob, lnlike in sampler.sample(p, iterations=1):
pass
sampler.reset()
# Collect
if steps:
print("=== collect ===")
for p, lnprob, lnlike in sampler.sample(
p, lnprob0=lnprob, lnlike0=lnlike, iterations=nthin * steps, thin=nthin
):
t = time.time()
if t >= next_t:
k = (iteration - burn) / nthin if nthin > 1 else (iteration - burn)
print("step", k, "of", steps, -np.max(lnlike) / problem.dof)
next_t = t + interval
iteration += 1
# assert sampler.chain.shape == (ntemps, nwalkers, steps, dim)
return sampler
def process_vars(title, draw, nwalkers, plot=True, file=None):
import matplotlib.pyplot as plt
vstats = stats.var_stats(draw)
print("=== %s ===" % title, file=file)
print(stats.format_vars(vstats), file=file)
if plot:
plt.figure()
views.plot_vars(draw, vstats)
plt.suptitle(title)
plt.figure()
views.plot_corrmatrix(draw)
plt.suptitle(title)
state = State(draw, nwalkers, title)
plt.figure()
views.plot_logp(state)
def log_evidence(logls, betas, fburnin=0.1):
"""
corrected log evidence that is not yet in emcee release
Caveat: log evidence calcs will fail horribly with an improper prior
since T->inf => log p_z -> log integral prior = inf, and the evidence
estimate will diverge (or at least be heavily dependent on maximum
temperature. A further caveat is that even for a proper prior, the
maximum temperature needed depends on the nature of the prior, which
makes log evidence pretty much useless for black box application.
"""
istart = int(logls.shape[2] * fburnin + 0.5)
mean_logls = np.mean(np.mean(logls, axis=1)[:, istart:], axis=1)
# Always integrate from small to large: ln(Z) = int_0^1 d(beta) <log(L)>_beta
isort = np.argsort(betas)
betas = betas[isort]
mean_logls = mean_logls[isort]
lnZ = np.trapz(mean_logls, betas)
lnZ2 = np.trapz(mean_logls[::2], betas[::2])
return lnZ, np.abs(lnZ - lnZ2)
def plot_results(problem, sampler, tail=None, tempstats=False):
labels = problem.labels()
dim = len(problem.getp())
ntemps = len(sampler.betas)
if sampler.chain is not None:
samples = np.reshape(sampler.chain, (ntemps, -1, dim))
logp = np.reshape(sampler.lnlikelihood, (ntemps, -1))
else:
samples = np.empty((ntemps, 0, dim), "d")
logp = np.empty((ntemps, 0), "d")
# Join results from the previous run
if tail is not None:
tail_samples = tail[:, 1:].reshape((ntemps, -1, dim))
tail_logp = tail[:, 0].reshape((ntemps, -1))
samples = np.hstack((tail_samples, samples))
logp = np.hstack((tail_logp, logp))
nwalkers = sampler.nwalkers
# logZ = sampler.thermodynamic_integration_log_evidence(
# logp.reshape(ntemps, nwalkers, -1), fburnin=0.)
logZ = log_evidence(logp.reshape(ntemps, nwalkers, -1), sampler.betas, fburnin=0.0)
maxp = np.max(logp)
print("log Z", logZ, "max p", maxp)
# process derived parameters
visible_vars = getattr(problem, "visible_vars", None)
integer_vars = getattr(problem, "integer_vars", None)
derived_vars, derived_labels = getattr(problem, "derive_vars", (None, None))
if derived_vars:
samples = np.reshape(samples, (-1, dim))
new_vars = np.asarray(derived_vars(samples.T)).T
samples = np.hstack((samples, new_vars))
labels += derived_labels
dim += len(derived_labels)
samples = np.reshape(samples, (ntemps, -1, dim))
# identify visible and integer variables
visible = [labels.index(p) for p in visible_vars] if visible_vars else None
integers = np.array([var in integer_vars for var in labels]) if integer_vars else None
def show_temp(k, plot=True, file=None):
title = problem.name + " (T=%g)" % (1 / sampler.betas[k])
draw = Draw(logp[k], samples[k], None, labels, vars=visible, integers=integers)
process_vars(title, draw, sampler.nwalkers, plot=plot, file=file)
if tempstats:
with open("stats.out", "w") as fd:
for k in range(ntemps):
show_temp(k, plot=False, file=fd)
# plot the results, but only for the lowest and highest temperature
show_temp(0)
# if ntemps > 2: show_temp(ntemps//2)
if ntemps > 1:
show_temp(-1)
p = samples.reshape(-1, dim)[np.argmax(logp)]
plt.figure()
problem.plot(p)
def save_state(filename, sampler, tail=None, labels=None):
if sampler.chain is None:
# If no samples were generated don't bother to save state
return
logp = sampler.lnlikelihood.reshape(-1, 1)
samples = sampler.chain.reshape(-1, sampler.dim)
data = np.hstack((logp, samples))
if tail is not None and tail.size:
data = np.vstack((tail, data))
np.savetxt(filename, data)
# Save the best in the population
with open("mc.par", "wt") as fid:
p = samples[np.argmax(logp)]
pardata = "".join("%s %.15g\n" % (name, value) for name, value in zip(labels, p))
fid.write(pardata)
def load_state(opts, dim, steps):
if opts.resume:
data = np.loadtxt(opts.resume)
nwalkers = opts.npop * dim
logp = data[:, 0].reshape(opts.nT, nwalkers, -1)
samples = data[:, 1:].reshape(opts.nT, nwalkers, -1, dim)
state = logp, samples
preserved = min(steps, max(samples.shape[2] - opts.burn, 0))
# print(samples.shape[3], opts.steps, opts.burn, preserved)
if preserved > 0:
rows = preserved * opts.nT * nwalkers
tail = data[-rows:]
else:
tail = None
return preserved, state, tail
else:
return 0, None, None
def main():
parser = argparse.ArgumentParser(
description="run bumps model through emcee",
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
)
parser.add_argument("-b", "--burn", type=int, default=100, help="Number of burn iterations")
parser.add_argument("-n", "--steps", type=int, default=400, help="Number of collection iterations")
parser.add_argument(
"-N", "--samples", type=int, default=None, help="Number of samples to keep [default is steps*dim*npop]"
)
parser.add_argument(
"-i", "--init", choices="eps lhs cov random".split(), default="eps", help="Population initialization method"
)
parser.add_argument("-k", "--npop", type=int, default=2, help="Population multiplier (must be even)")
parser.add_argument("-p", "--pars", type=str, default="", help="retrieve starting point from .par file")
parser.add_argument("-t", "--nT", type=int, default=20, help="Number of temperatures")
parser.add_argument(
"-m", "--Tmax", type=float, default=None, help="Max temperature for exponential ladder [default is dT^(nT-1)]"
)
parser.add_argument(
"-d",
"--dT",
type=float,
default=np.sqrt(2.0),
help="Temperature steps for exponential ladder if Tmax is not provided",
)
parser.add_argument("-r", "--resume", type=str, default=None, help="Resume from file")
parser.add_argument("-s", "--store", type=str, default="mc.out", help="Save to file")
parser.add_argument("-x", "--thin", type=int, default=1, help="Number of iterations between collected points")
parser.add_argument("modelfile", type=str, nargs=1, help="bumps model file")
parser.add_argument("modelopts", type=str, nargs="*", help="options passed to the model")
opts = parser.parse_args()
problem = load_model(opts.modelfile[0], model_options=opts.modelopts)
if opts.pars:
load_best(problem, opts.pars)
dim = len(problem.getp())
steps = opts.steps if opts.samples is None else (opts.samples + dim * opts.npop - 1) // (dim * opts.npop)
preserved, state, tail = load_state(opts, dim, steps)
sampler = walk(
problem,
init=opts.init,
state=state,
burn=opts.burn if not preserved else 0,
steps=steps - preserved,
nthin=opts.thin,
ntemps=opts.nT,
maxtemp=opts.Tmax,
dtemp=opts.dT,
npop=opts.npop,
)
save_state(opts.store, sampler, tail, labels=problem.labels())
plot_results(problem, sampler, tail, tempstats=False)
plt.show()
if __name__ == "__main__":
main()
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